Adjustment of the Stamp Duty on Stock Transactions and Its Effect on the Chinese Stock Market

Zhe Peng, Qiming Tang and Kent Wang

Emerging Markets Finance and Trade, 2014, vol. 50, issue 1, 183-196

Abstract: This paper studies how the last three adjustments of the stamp duty on stock transactions (SDST) have affected trading behavior on the Chinese stock market. To exclude other shocks from our event study, we focus only on the SDST's short-term effects. Based on an interval autoregressive (IAR) model, we find that the SDST's effects on interval return are trivial; moreover, its ability to influence market volatility and trading volume is cast into doubt. Our empirical evidence lends support to the view that in China the SDST is not an effective policy tool.

Keywords: accuracy ratio; Chinese stock market; interval autoregressive model; stamp duty on stock transactions (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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